Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0084
Annualized Std Dev 0.4002
Annualized Sharpe (Rf=0%) -0.0210

Row

Daily Return Statistics

Close
Observations 3709.0000
NAs 1.0000
Minimum -0.1706
Quartile 1 -0.0121
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0000
Quartile 3 0.0128
Maximum 0.1623
SE Mean 0.0004
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0011
Variance 0.0006
Stdev 0.0252
Skewness -0.2273
Kurtosis 5.7445

Downside Risk

Close
Semi Deviation 0.0182
Gain Deviation 0.0174
Loss Deviation 0.0187
Downside Deviation (MAR=210%) 0.0225
Downside Deviation (Rf=0%) 0.0180
Downside Deviation (0%) 0.0180
Maximum Drawdown 0.8734
Historical VaR (95%) -0.0368
Historical ES (95%) -0.0598
Modified VaR (95%) -0.0399
Modified ES (95%) -0.0692
From Trough To Depth Length To Trough Recovery
2008-07-01 2016-01-19 NA -0.8734 3203 1901 NA
2006-07-05 2006-10-03 2006-11-29 -0.2196 103 63 40
2007-07-16 2007-08-16 2007-10-26 -0.2182 74 24 50
2007-12-11 2008-01-17 2008-02-19 -0.1901 47 26 21
2008-02-29 2008-03-20 2008-04-08 -0.1486 27 15 12

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.4 -1.2 1.7 0.1 -1.8 -0.7 -1.1 -2.7
2007 1.9 -0.6 -0.2 -1.1 1.4 0.7 -0.8 2.6 1.5 -4.5 -0.4 -1.1 -1
2008 4.3 -4.8 2.3 -1.7 3.1 -1.8 -4 -1.1 -3.6 2.2 -15.3 2.4 -17.8
2009 -4.8 -1.2 5 5.5 6.8 0 2.9 -2.5 -4.6 -4.4 1.8 -1.1 2.3
2010 5.9 2.2 2.3 -2.2 -5.6 -1.1 0.9 4.1 1.9 0.6 3.2 -0.3 11.9
2011 2.8 -2.2 0.3 1.3 -3.5 0.7 -0.2 -1.9 -3.3 -3 -0.9 0.9 -8.9
2012 1.5 1.2 0.1 0.8 0.4 3.7 -0.2 1.6 0.3 3.8 -0.1 3.5 17.7
2013 1.1 -2 -2.5 -1.9 -2.3 0.8 -0.1 -1.1 0.4 1.3 0.6 0.9 -4.8
2014 -0.4 -0.6 0.4 0 -1.3 0.1 -0.2 1 -2.9 1.9 -2.7 -0.6 -5.2
2015 1.2 -0.2 -3.5 0.9 -0.8 -1.5 -1.4 -4.7 -0.9 -0.1 1.8 -0.9 -9.8
2016 -0.9 1.8 0.6 1.6 -0.2 2.4 -0.7 1.1 0.2 -0.2 0.6 -3 3.2
2017 -0.8 3 0.8 -0.6 0.7 0 -1.7 1.7 0.3 0.7 0.6 -0.1 4.7
2018 0.4 2.5 3 -1.4 0.9 0.6 -0.8 0.4 0.7 2.6 0.1 0 9.2
2019 -0.7 0.3 1.8 -2.5 -1.3 -0.7 -2.8 0.3 -0.9 3.1 -0.4 0.4 -3.3
2020 -2 -1.9 -2 -2.2 2.4 -2.2 -0.9 1 1.1 0.1 4.6 0.1 -2.1
2021 4.4 4.8 -0.5 NA NA NA NA NA NA NA NA NA 8.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-06-22  45.1 SPY    124. -0.0044  -0.0132  -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103    0.0072
2 2006-06-23  46.0 SPY    124. -0.0002  -0.0017  -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045    0.0054
3 2006-06-26  46.3 SPY    125.  0.0044   0.0107  -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005     0.0341
4 2006-06-27  46.0 SPY    124. -0.0086  -0.0015  -0.0348  -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103    0.0066
5 2006-06-28  46.3 SPY    125.  0.0068  -0.0021  -0.0107  -0.0406   0.0383    0.277   0.0075 GLD    57.5 -0.00240  -0.0135
6 2006-06-29  49.3 SPY    127.  0.0202   0.0226  -0.0019  -0.0195   0.0621    0.304   0.036  GLD    59.5  0.0344    0.031 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart